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~institution:"HAL"
~institution:"London School of Economics (LSE)"
~subject:"Long memory"
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Search: subject:"Cointegration"
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Long memory
fractional cointegration
11
Fractional cointegration
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Cointegration
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cointegration
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long memory
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EU
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Nonstationary processes
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Parametric estimation
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fiscal sustainability
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least squares estimation
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mixed normal asymptotics
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narrow-band estimation
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panel cointegration
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structural breaks
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unknown integration orders
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Cointegration of Higher Orders
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Aloy, Marcel
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Robinson, Peter M.
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Truchis, Gilles De
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HAL
London School of Economics (LSE)
Centro di Studi Internazionali Sull'Economia e la Sviluppo (CEIS), Facoltà di Economia
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DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
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Department of Economics, Faculty of Economic and Management Sciences
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ISEG - School of Economics and Management, Department of Economics, University of Lisbon
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School of Economics and Management, University of Aarhus
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Society for Computational Economics - SCE
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
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Estimation and Testing for Fractional
Cointegration
Aloy, Marcel
;
Truchis, Gilles De
-
HAL
-
2012
question of testing for fractional
cointegration
(that is, d < 1). The simulation results suggest that the one-step methodology …
Persistent link: https://www.econbiz.de/10011026224
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2
Multiple local whittle estimation in stationary systems
Robinson, Peter M.
-
London School of Economics (LSE)
-
2007
cointegration
, the consistency proof of these implicitly-defined estimates is nonstandard due to the β estimate converging faster …
Persistent link: https://www.econbiz.de/10011071412
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